Dynamic portfolio selection with nonlinear transaction costs
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- scientific article; zbMATH DE number 1069625
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Cites work
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- scientific article; zbMATH DE number 1069625 (Why is no real title available?)
- scientific article; zbMATH DE number 1069629 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- ISOD -- an anisotropic isovalue-oriented diffusion artificial viscosity for the Euler and Navier-Stokes equations.
- Numerical schemes for investment models with singular transactions
- On an Investment-Consumption Model with Transaction Costs
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- On the pricing of contingent claims with frictions.
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Optimal Impulse Control of Portfolios
- Optimal investment and consumption with transaction costs
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Portfolio Selection with Transaction Costs
- Portfolio selection with transactions costs
- Singular optimal control problems
Cited in
(12)- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Dynamic portfolio selection with market impact costs
- Consuming durable goods when stock markets jump: a strategic asset allocation approach
- The self-financing equation in limit order book markets
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- Optimal portfolio selection with transaction costs
- A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
- Nonlinear price impact and portfolio choice
- Second-order online portfolio selection strategy with transaction costs
- Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
- OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
- Linear versus quadratic portfolio optimization model with transaction cost
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